Use this identifier to quote or link this document: http://hdl.handle.net/2072/1754

Security prices and market transparency: the role of prior information
Frutos, M. Ángeles de; Manzano, Carolina
Universitat Rovira i Virgili. Departament d'Economia
This paper analyzes the role of traders' priors (proper versus improper) on the implications of market transparency by comparing a pre-trade transparent market with an opaque market in a set-up based on Madhavan (1996). We show that prices may be more informative in the opaque market, regardless of how priors are modelled. In contrast, the comparison of market liquidity and volatility in the two market structures are affected by prior specification. Key words: Market microstructure, Transparency, Prior information
2005
Mercat de capitals
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Working Paper
Documents de treball del Departament d'Economia;2005-4
         

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